What is the ratio of immersion to profits?
How to track?
How to test?
–h
What is the ratio of immersion to profits?
How to track?
How to test?
–h
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model?
Where ‘Aways In’ may simply try to capture drift,
Place for options?
Vig kills?
Continuous vs discrete,
…
–h
Lacrosse fall season started last night and I got a note from son’s mom:
Son is best player on field!
Son has worked and practiced hard over the last year, I am proud and happy for him.
I get a second note from mom:
Son signed up for wrong league, playing against kids 2 grade levels down.
Ahh : )
But, lessons learned and all.
Then applying to markets:
What markets can we trade that are 2 grade levels down? Where is easy?
How do we define easy?
What markets trade 2 grade levels up and we should stay away from?
How do we test markets for grade level?
What other ways are there to think of grade level in the markets:
Day of month?
Day of week?
Percent move?
How does a quant practice?
—h
Trend Following with Mean Reversion
Keep a list of markets that are trending (however one likes to define trending)
Use a favorite reversion strategy to buy/sell pullbacks from the trend
That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading w/ the drift
–h
Risk Adjusted, Out-of-Sample
Annual: +24.9%
Max DD: -3.5%
Sharpe: 5.7
Profitable: 12 of last 12 months
I am looking for a new home for this strategy. It has been traded with $40m and scales easily into the $200m range.
Inquiries and referrals appreciated. A Strategy overview is here,
–h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
Epidemic Math
Population of Liberia, Guinea and Sierra Leone is about 21,000,000
There have been 6500 Ebola cases
Reachingh 0.03% of the population
In poorest Africa
Since March 2014
–h
I’m looking for a home for my quant strategy.
It has been traded with $40,000,000 over the last 7 months but needs to grow.
Out-of-sample results for last 11 months are:
Annual return: +24.8%
Max DD: -2.6%
Sharpe: 5.6
Strategy primarily trades Bonds, Bunds, SP, Stoxx futures and is scalable to $200 million without worrying too much about execution.
An overview is here: Vertical Solutions Strategy
–h
Henry Carstens
503-701-5741
A quant’s trading journal is a spreadsheet
–h
–h
Henry Carstens
Vertical Solutions
503-701-5741